Treatment of integer values in the 'days' columns

Question

Reference is made to the AMM templates, particularly to template C68.00 weighted average maturity (columns 040 and 050); C69.00 (spread columns) and C70.00 average term (columns 300 -330). As you are aware, in line with the current instructions on these templates, the figures reported in these columns should be integers and do not carry any decimals. In this regard, a figure of, say, 0.6 days should be reported as 1. However, we would like to have your views regarding the reporting of positions in the case of figures less than 0.5 days. We are not sure whether these should be reported as 0 (to indicate that there is an amount of less than half a day), or else leave the cell blank as per current practice of monetary values.

European Banking Authority · Accepted Answer

An average  spread (in basis points) of less than 0.5 basis points shall be reported as zero in the templates of Annexes XVIII to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) where the DPM for these templates requires this spread to be reported in ‘integer’ data format. For the purposes of template C 68.00 and C70.00 of Annex XIX chapter 1.1 paragraph 4 to 6 to ITS on Supervisory Reporting, the following shall apply: the average maturity/term shall be calculated on the basis of calendar days.

Treatment of integer values in the 'days' columns

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